Modeling conditional covariance for mixed-asset portfolios

Jian Zhou ()

Economic Modelling, 2014, vol. 40, issue C, 242-249

Abstract: This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of statistical and economic criteria are considered. The optimal estimator to use is found to depend on the evaluation criterion under consideration.

Keywords: Mixed-asset portfolio; Conditional covariance; Forecast; Portfolio diversification; Risk management (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249

DOI: 10.1016/j.econmod.2014.04.010

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